FoReco v0.1.1

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Point Forecast Reconciliation

Provides classical (bottom-up), optimal and heuristic combination forecast reconciliation procedures for cross-sectional, temporal, and cross-temporal linearly constrained time series.

Readme

FoReco logo

R build
status CRAN
status Lifecycle:
experimental devel
version License:
GPL-3

The FoReco (Forecast Reconciliation) package is designed for point forecast reconciliation, a post-forecasting process aimed to improve the quality of the base forecasts for a system of linearly constrained (e.g. hierarchical/grouped) time series.

It offers classical (bottom-up), optimal and heuristic combination forecast reconciliation procedures by exploiting cross-sectional, temporal, and cross-temporal relationships linking the time series.

The main functions are:

  • htsrec(): cross-sectional (contemporaneous) forecast reconciliation.
  • thfrec(): forecast reconciliation for a single time series through temporal hierarchies.
  • tcsrec(): heuristic first-temporal-then-cross-sectional cross-temporal forecast reconciliation.
  • cstrec(): heuristic first-cross-sectional-then-temporal cross-temporal forecast reconciliation.
  • iterec(): heuristic iterative cross-temporal forecast reconciliation.
  • octrec(): optimal combination cross-temporal forecast reconciliation.

Installation

You can install the stable version on R CRAN

install.packages('FoReco', dependencies = TRUE)

You can also install the development version from Github

# install.packages("devtools")
devtools::install_github("daniGiro/FoReco", build_vignettes = TRUE)

Getting help

If you encounter a clear bug, please file a minimal reproducible example on GitHub.

Functions in FoReco

Name Description
cstrec Heuristic first-cross-sectional-then-temporal cross-temporal forecast reconciliation
Cmatrix Cross-sectional (contemporaneous) aggregation matrix
commat Commutation matrix
FoReco-thief Simple examples to compare FoReco and thief packages
FoReco2ts Reconciled forecasts matrix/vector to time-series class
FoReco-package FoReco: point forecast reconciliation
ctbu Bottom-up Cross-temporal forecast reconciliation
FoReco-hts Simple examples to compare FoReco and hts packages
FoReco_data Forecast reconciliation for a simulated hierarchical time series
ctf_tools Cross-temporal reconciliation tools
score_index Measuring forecasting accuracy
shrink_estim Shrinkage of the covariance matrix
thf_tools Temporal reconciliation tools
tcsrec Heuristic first-temporal-then-cross-sectional cross-temporal forecast reconciliation
iterec Iterative heuristic cross-temporal forecast reconciliation
octrec Optimal combination cross-temporal forecast reconciliation
thfrec Forecast reconciliation through temporal hierarchies (temporal reconciliation)
htsrec Cross-sectional (contemporaneous) forecast reconciliation
hts_tools Cross-sectional reconciliation tools
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Vignettes of FoReco

Name
FoReco_package.Rmd
accuracy_indices.Rmd
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Details

Type Package
License GPL-3
URL https://github.com/daniGiro/FoReco, https://danigiro.github.io/FoReco/
BugReports https://github.com/daniGiro/FoReco/issues
VignetteBuilder knitr
Encoding UTF-8
LazyData true
NeedsCompilation no
RoxygenNote 7.1.1
Packaged 2020-10-17 13:14:27 UTC; daniele
Repository CRAN
Date/Publication 2020-10-17 22:20:03 UTC

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